Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Dec 22 (3D) Dec 23 (4D) Dec 24 (5D) Dec 25 (6D) Dec 26 (7D) Dec 29 (10D) Dec 30 (11D) Dec 31 (12D) Jan 01 (13D) Jan 02 (14D) Jan 09 (21D) Jan 16 (28D) Jan 23 (35D) Jan 30 (42D) Feb 06 (49D) Feb 13 (56D) Feb 20 (63D) Feb 27 (70D) Mar 06 (77D) Mar 13 (84D) Mar 20 (91D) Mar 27 (98D)
lower 671.07 669.62 668.343 667.188 666.126 663.332 662.497 661.699 660.934 660.197 655.648 651.813 648.434 645.379 642.57 639.955 637.499 635.176 632.967 630.856 628.831 626.883
upper 689.81 691.26 692.537 693.692 694.754 697.548 698.383 699.181 699.946 700.683 705.232 709.067 712.446 715.501 718.31 720.925 723.381 725.704 727.913 730.024 732.049 733.997
expected move 9.37 10.82 12.097 13.252 14.314 17.108 17.943 18.741 19.506 20.243 24.792 28.627 32.006 35.061 37.87 40.485 42.941 45.264 47.473 49.584 51.609 53.557
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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